Blender Import with materials (textures)
I have downloaded the files you linked to.
I extracted the zip file and (using blender 2.75) used file, import FBX and opened the FBX, hit F12 and no textures.

Closed blender.

Within the zip, there is a .RAR file 'textures.rar'. I extracted that file in the same directory as the FBX and repeated the above process. Textures where showing up when rendering.